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\name{BinaryOption}
\alias{BinaryOption}
\alias{BinaryOption.default}
\title{Binary Option evaluation using Closed-Form solution}
\description{
This function evaluations an Binary option on a common stock
using a closed-form solution. The option value as well as the common first
derivatives ("Greeks") are returned.}
\usage{
\method{BinaryOption}{default}(binType, type, excType, underlying,
strike, dividendYield,
riskFreeRate, maturity, volatility, cashPayoff)
}
\arguments{
\item{binType}{A string with one of the values \code{cash},
\code{asset} or \code{gap} to select CashOrNothing, AssetOrNothing
or Gap payoff profiles}
\item{type}{A string with one of the values \code{call} or \code{put}}
\item{excType}{A string with one of the values \code{european} or
\code{american} to denote the exercise type}
\item{underlying}{Current price of the underlying stock}
\item{strike}{Strike price of the option}
\item{dividendYield}{Continuous dividend yield (as a fraction) of the stock}
\item{riskFreeRate}{Risk-free rate}
\item{maturity}{Time to maturity (in fractional years)}
\item{volatility}{Volatility of the underlying stock}
\item{cashPayoff}{Payout amount}
}
\value{
An object of class \code{BinaryOption} (which inherits from class
\code{\link{Option}}) is returned. It contains a list with the
following components:
\item{value}{Value of option}
\item{delta}{Sensitivity of the option value for a change in the underlying}
\item{gamma}{Sensitivity of the option delta for a change in the underlying}
\item{vega}{Sensitivity of the option value for a change in the
underlying's volatility}
\item{theta}{Sensitivity of the option value for a change in t, the
remaining time to maturity}
\item{rho}{Sensitivity of the option value for a change in the
risk-free interest rate}
\item{dividendRho}{Sensitivity of the option value for a change in the
dividend yield}
}
\details{
A closed-form solution is used to value the Binary Option.
Please see any decent Finance textbook for background reading, and
the \code{QuantLib} documentation for details on the \code{QuantLib}
implementation.
}
\references{\url{https://www.quantlib.org/} for details on \code{QuantLib}.}
\author{Dirk Eddelbuettel \email{edd@debian.org} for the \R interface;
the QuantLib Group for \code{QuantLib}}
\note{The interface might change in future release as \code{QuantLib}
stabilises its own API.}
\seealso{\code{\link{AmericanOption}},\code{\link{EuropeanOption}}}
\examples{
BinaryOption(binType="asset", type="call", excType="european",
underlying=100, strike=100, dividendYield=0.02,
riskFreeRate=0.03, maturity=0.5, volatility=0.4, cashPayoff=10)
}
\keyword{misc}
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